pandora is great. I've been a fan for a long time.
Best part is you get exposure to artists unfamiliar to you that do music in a style you like. Fun to set up different 'stations' with different combos for music for any mood.
Also, if you are more into high fidelity (or not, even), check out Magnatune.com. You can listen to their artists, and download a CD quality album if you like, and you choose the price you pay (suggested $8 for most I think). Some great talent, and the artist gets 50% of the take, IIRC. Some great classical, acoustic stuff, and some very good jazz.